The Relative Dynamics of Investment and the Current Account in the G7‐Economies
使用时变协整VAR模型，区分国家和全球冲击的持久与暂时成分，检验G7国家经常账户与投资对冲击的反应，发现其符合跨期方法预测，并解释了投资过度波动现象。
This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our approach allows us to investigate empirically the sensitivity to persistence implied by many forward-looking models and our results shed new light on the excess volatility of investment encountered by Glick and Rogoff (1995). In G7 data, we find the relative current-account and investment response to be in line with the intertemporal approach.